Optimal VWAP trading under noisy conditions
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Olivier Gu'eant & Guillaume Royer, 2013. "VWAP execution and guaranteed VWAP," Papers 1306.2832, arXiv.org, revised May 2014.
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- Enzo Busseti & Stephen Boyd, 2015. "Volume Weighted Average Price Optimal Execution," Papers 1509.08503, arXiv.org.
- Humphery-Jenner, M., 2011. "High Frequency Trading, Information, and Takeovers," Discussion Paper 2011-047, Tilburg University, Center for Economic Research.
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KeywordsVWAP strategies Algorithmic trading Intra-day volume;
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